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Report NEP-MST-2017-02-05
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Albert S. Kyle & Anna Obizhaeva, 2017, "Dimensional Analysis and Market Microstructure Invariance," Working Papers, Center for Economic and Financial Research (CEFIR), number w0234, Jan.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Smooth Trading with Overconfidence and Market Power," Working Papers, Center for Economic and Financial Research (CEFIR), number w0226, Jan.
- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016, "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers, Center for Economic and Financial Research (CEFIR), number w0229, Mar.
- Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016, "Microstructure Invariance in U.S. Stock Market Trades," Working Papers, Center for Economic and Financial Research (CEFIR), number w0230, Apr.
- Albert S. Kyle & Anna Obizhaeva & Nitish Ranjan Sinha & Tugkan Tuzun, 2017, "News Articles and Equity Trading," Working Papers, Center for Economic and Financial Research (CEFIR), number w0233, Jan.
- Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016, "Invariance of buy-sell switching points," Working Papers, Center for Economic and Financial Research (CEFIR), number w0232, Oct.
- Albert S. Kyle & Anna Obizhaeva, 2016, "Market Microstructure Invariance: A Dynamic Equilibrium Model," Working Papers, Center for Economic and Financial Research (CEFIR), number w0228, Feb.
- Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2016, "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-63, Oct.
- Vladimir Filimonov & Didier Sornette, 2012, "Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-02, Feb.
- Albert S. Kyle & Anna Obizhaeva, 2016, "Large Bets and Stock Market Crashes," Working Papers, Center for Economic and Financial Research (CEFIR), number w0227, Jan.
- Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Beliefs Aggregation and Return Predictability," Working Papers, Center for Economic and Financial Research (CEFIR), number w0231, Aug.